资本市场制度型开放与流动性共性效应——兼论气候风险的影响  

Capital Market Institutional Opening Up and Liquidity Commonality—Extending Research to the Impact of Climate Risk

作　　者：李金甜 毛新述[1] LI Jintian;MAO Xinshu(Business School,Beijing Technology and Business University)

机构地区：[1]北京工商大学商学院,北京100048

出　　处：《金融研究》2023年第5期170-188,共19页Journal of Financial Research

基　　金：国家自然科学基金面上和青年项目(72172009、72102006);北京市属高校教师队伍建设支持计划高水平科研创新团队项目(BPHR20220105);北京社科基金规划项目(22GLC051)的资助。

摘　　要：个股流动性与市场其他股票流动性之间存在共性运动,是引发系统性流动性风险的重要来源。本文以“个股—市场”联动层面的流动性共性为切入点,研究资本市场制度型开放对系统性流动性风险的差异化影响和叠加效应,并考察气候风险的影响。结果显示:资本市场制度型开放从总体上降低了流动性共性,但A股纳入MSCI指数的政策效应弱于沪深港通,未出现政策叠加效应;机构投资者关联交易作用渠道差异以及放宽跨境资本限额的外生制度安排,是造成政策效应显著弱化的主因;纳入气候风险的进一步研究发现,物理风险和转型风险影响显著弱化了境外机构投资者的稳定市场作用。The 20th National Congress of the Communist Party of China proposed that China adhere to a high level of opening up,providing a scientific guideline for coordinating institutional openness and risk prevention in the capital market.The institutional opening up of the capital market has led foreign capital sources to pay increasing attention to China's A-share market,and cross-border capital flows have become more frequent than in the past.Simultaneously,the impact of climate risk has led to increased uncertainty in relation to financial risks.This article takes commonality in liquidity(CiL)at the level of the links between individual stocks and the market as a starting point and uses listed companies on the Shanghai and Shenzhen A-share markets from January 2011 to December 2019 as the research sample.It focuses on the micro-level of enterprises'systemic liquidity risk,studies the differentiated impact and overlapping effects of the institutional opening up of the capital market on systemic liquidity risk,and analyzes the underlying reasons for these effects based on the channels of action and exogenous institutional arrangements.Furthermore,this article incorporates climate risk factors to examine the impact of physical and transitional risks on the stability of the market for foreign institutional investors.The results show that,first,the institutional opening up of the capital market generally reduces the CiL of open stocks,playing a stabilizing role in the market.However,in contrast with the Shanghai/Shenzhen-Hong Kong(SH/SZ-HK)Stock Connect policy,the inclusion of A-shares in the MSCI index significantly weakens this CiL-reducing effect.Second,the mechanism analysis shows that the SH/SZ-HK Stock Connect policy mainly plays a stabilizing role in the market by reducing the transactions of institutional investors and increasing the quality of information disclosure,whereas the inclusion of A-shares in the MSCI index increases the correlated trading behavior of institutional investors,and offsets the impact of im

关 键 词：资本市场制度型开放 流动性共性 气候风险 

分 类 号：F832.51[经济管理—金融学]